Orchimate 1.5.0 /

FIX3.0

Account mnemonic as agreed between broker and institution.

Unique identifier of advertisement message

Reference identifier used with CANCEL and REPLACE transaction types.

Broker's side of advertised trade

Valid values:
B = Buy
S = Sell
X = Cross
T = Trade

Identifies advertisement message transaction type

Valid values:
N = New
C = Cancel
R = Replace

Calculated average price of all fills on this order.

Message sequence number of first record in range to be resent

Identifies beginning of new message and protocol version. ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted)

Valid values:
FIX.3.0

Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)

Valid values:
0 - 9999

Three byte, simple checksum (see Appendix B for description). ALWAYS LAST FIELD IN RECORD; i.e. serves, with the trailing <SOH>, as the end-of-record delimiter. Always defined as three characters. (Always unencrypted)

Order identifier assigned by institution application

Commission

Commission type

Valid values:
1 = per share
2 = percentage
3 = absolute

Total number of shares filled.

Valid values:
(0 - 1000000000)

Identifies currency used for price, Absence of this field in a message is interpreted as US dollars. See Appendix A for valid values.

Message sequence number of last record in range to be resent. If request is for a single record BeginSeqNo = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "99999"

Unique identifier of execution message (Will be blank for ExecTransType=3 (Status))

Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space.

Valid values:
1 = Not held
2 = Work
3 = Go along
4 = Over the day
5 = Held
6 = Participate don't initiate
7 = Strict scale
8 = Try to scale
9 = Stay on bidside
0 = Stay on offerside
A = No cross
B = OK to cross
C = Call first
D = Percent of volume
E = Do not increase - DNI
F = Do not reduce - DNR
G = All or none - AON
I = Institutions only
L = Last peg (last sale)
M = Mid-price peg (midprice of inside quote)
N = Non-negotiable
O = Opening peg
P = Market peg
R = Primary peg (primary market - buy at bid/sell at offer)
S = Suspend

Reference identifier used with Cancel and Correct transaction types.

Identifies transaction type

Valid values:
0 = New
1 = Cancel
2 = Correct
3 = Status

Instructions for order handling on Broker trading floor

Valid values:
1 = Automated execution order, private, no Broker intervention
2 = Automated execution order, public, Broker intervention OK
3 = Manual order, best execution

Identifies class of alternative SecurityID

Valid values:
1 = CUSIP
2 = SEDOL
3 = QUIK
4 = ISIN number
5 = RIC code

100+ are reserved for private security identifications

Unique identifier of IOI message.

Indicates if, and on which other services, the indication has been advertised. Each character represents an additional service (e.g. if on Bridge and Autex, field = BA, if only on Autex, field = A)

Valid values:
A = Autex
B = Bridge

Relative quality of indication

Valid values:
L = Low
M = Medium
H = High

Reference identifier used with CANCEL and REPLACE, transaction types.

Number of shares in numeric or relative size.

Valid values:
0 - 1000000000
S = Small
M = Medium
L = Large

Identifies IOI message transaction type

Valid values:
N = New
C = Cancel
R = Replace

Broker capacity in order execution

Valid values:
1 = Agent
2 = Cross as agent
3 = Cross as principal
4 = Principal

Market of execution for last fill

Valid values:
See Appendix C

Price of last fill. Field not required for ExecTransType = 3 (Status)

Quantity of shares bought/sold on this fill. Field not required for ExecTransType = 3 (Status)

Identifies number of lines of text body

Integer message sequence number. Incremented for each message except logon, logout, heartbeat, test request and resend request, and when PossDupFlag=Y.

Valid values:
0 - 99999

Defines message type. ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted)

Note: A "U" as the first character in the MsgType field indicates that the message format is privately defined between the sender and receiver.

Valid values:
0 = Heartbeat
1 = Test Request
2 = Resend Request
3 = Reject
4 = Sequence Reset
5 = Logout
6 = Indication of Interest
7 = Advertisement
8 = Execution Report
9 = Order Cancel Reject
A = Logon
B = News
C = Email
D = Order - Single
E = Order - List
F = Order Cancel Request
G = Order Cancel/Replace Request
H = Order Status Request
J = Allocation
K = List Cancel Request
L = List Execute
M = List Status Request
N = List Status
P = Allocation ACK

New sequence number

Valid values:
0 - 99999

Unique identifier for Order as assigned by broker

Number of shares ordered

Valid values:
(0 - 1000000000)

Identifies current status of order.

Valid values:
0 = New
1 = Partially filled
2 = Filled
3 = Done for day
4 = Canceled
5 = Replaced
6 = Pending Cancel/Replace
7 = Stopped
8 = Rejected
9 = Suspended
A = Pending New

Order type.

Valid values:
1 = Market
2 = Limit
3 = Stop
4 = Stop limit
5 = Market on close
6 = With or without
7 = Limit or better
8 = Limit with or without
9 = On basis
A = On close
B = Limit on close
P = Pegged (requires ExecInst = L, R, M, P or O)

Original order id as assigned by the institution, used to identify original order in cancel and cancel/replace requests.

Time of message origination in HH:MM:SS format (always expressed in GMT)

Valid values:
HH: 00 - 23
MM: 00 - 59
SS: 00 - 59

Indicates possible retransmission of message with this sequence number

Valid values:
Y = Possible duplicate
N = Original transmission

Price per share

Valid values:
0 - 9999.9999

Reference message sequence number

Valid values:
0 - 99999

Symbol of issue related to story. Can be repeated within message to identify multiple companies.

Indicates order type upon which exchange Rule 80A is applied.

Valid values:
A = Agency single order
I = Individual Investor, single order
D = Program Order, index arb, for Member firm/org
C = Program Order, non-index arb, for Member firm/org
J = Program Order, index arb, for individual customer
K = Program Order, non-index arb, for individual customer
U = Program Order, index arb, for other agency
Y = Program Order, non-index arb, for other agency
M = Program Order, index arb, for other member
N = Program Order, non-index arb, for other member
W = All other orders as agent for other member

CUSIP or other alternate security identifier

Assigned value used to identify firm sending message. (Always unencrypted)

Assigned value used to identify specific message originator (desk, trader, etc.)

Date of message transmission in YYMMDD format (always expressed in GMT)

Valid values:
YY = 00-99
MM = 01-12
DD = 01-31

Time of message transmission in HH:MM:SS format (always expressed in GMT)

Valid values:
HH: 00 - 23
MM: 00 - 59
SS: 00 - 59

Number of shares

Valid values:
0 - 1000000000

Side of order

Valid values:
1 = Buy
2 = Sell
3 = Buy minus
4 = Sell plus
5 = Sell short
6 = Sell short exempt

Ticker symbol

Assigned value used to identify receiving firm. (Always unencrypted)

Assigned value used to identify specific individual or unit intended to receive message. “ADMIN” reserved for administrative messages not intended for a specific user.

Free format text string

Specifies how long the order remains in effect. Absence of this field is interpreted as DAY.

Valid values:
0 = Day
1 = Good Till Cancel (GTC)
2 = At the Opening (OPG)
3 = Immediate or Cancel (OC)
4 = Fill or Kill (FOK)
5 = Good Till Crossing (GTX)

Time of execution/order creation in HH:MM:SS format (expressed in GMT)

Valid values:
HH: 00 - 23
MM: 00 - 59
SS: 00 - 59

Urgency flag

Valid values:
0 = Normal
1 = Flash
2 = Background

Indicates expiration time of indication message in HH:MM:SS format (always expressed in GMT)

Valid values:
HH: 00 - 23
MM: 00 - 59
SS: 00 - 59

Indicates order settlement period. Absence of this field is interpreted as Regular. Regular is defined as the default settlement period for the particular security on the exchange of execution.

Valid values:
0 = Regular
1 = Cash
2 = Next Day
3 = T+2
4 = T+3
5 = T+4
6 = Future
7 = When Issued
8 = Sellers Option
9 = T+ 5

Specific date of trade settlement in YYMMDD format. Required when SettlmntTyp = 6 (Future) or SettlmntTyp = 8 (Sellers Option). (expressed in GMT)

Valid values:
YY = 00-99
MM = 01-12
DD = 01-31

Additional information about the security (e.g. preferred, warrants, etc.). Absence of this field indicates common.

Valid values:
As defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory

Customer assigned list identifier used to associate multiple individual orders.

Sequence of individual order within list (i.e. ListSeqNo of ListNoOrds,2 of 25, 3 of 25, . . . )

Total number of orders within list (i.e. ListSeqNo of ListNoOrds, e.g. 2 of 25, 3 of 25, . . . )

Free format text message containing list handling and execution instructions.

Unique identifier for allocation record.

Identifies allocation transaction type

Valid values:
0 = New
1 = Replace
2 = Cancel

Reference identifier to be used with Replace and Cancel AllocTransType records.

Indicates number of orders to be combined for average pricing and allocation.

Indicates number of decimal places to be used for average pricing. Absense of this field indicates that default precision arranged by the broker/institution is to be used.

Indicates date of trade referenced in this record in YYMMDD format. Absence of this field indicates current day (expressed in GMT).

Valid values:
YY = 00-99
MM = 01-12
DD = 01-31

Identifies executing / give-up broker. Standard NASD market-maker mnemonic is preferred.

For options only.

Number of AllocAccount/AllocShares/ProcessCode instances included in allocation record.

Sub-account mnemonic

Number of shares to be allocated to specific sub-account

Processing code for sub-account. Absence of this field in AllocAccount / AllocShares / ProcessCode instance indicates regular trade.

Valid values:
0 = regular
1 = soft dollar
2 = step-in
3 = step-out
4 = soft-dollar step-in
5 = soft-dollar step-out

Total number of reports within series.

Sequence number of message within report series.

Total number of shares cancelled for this order.

Number of delivery instruction fields to follow

Free format text field to indicate delivery instructions

Identifies status of allocation.

Valid values:
0 = accepted
1 = rejected
2 = partial accept

Identifies reason for rejection.

Valid values:
0 = unknown account(s)
1 = incorrect quantity
2 = incorrect average price
3 = unknown executing broker mnemonic
4 = commission difference
5 = unknown OrderID
6 = unknown ListID
7 = other

Electronic signature

Length of encrypted message

Actual encrypted data stream

Broker to receive trade credit

Number of bytes in signature field.

Email message type.

Valid values:
0 = New
1 = Reply
2 = Admin Reply

Number of bytes in raw data field.

Unformatted raw data, can include bitmaps, word processor documents, etc.

Indicates that message may contain information that has been sent under another sequence number.

Method of encryption.

Valid values:
0 = None / other
1 = PKCS
2 = DES
3 = PKCS/DES
4 = PGP/DES

Price per share

Valid values:
0 - 9999.9999

Execution destination as defined by institution when order is entered.

Valid values:
See Appendix C
plus
0 = none
4 = POSIT